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A file with the VMG extension in your computer means that you have a Nokia phone and Nokia PC Suite installed. Nokia phones store text messages (SMS) in the form of VMG.
If you would like to change VMG in another file form, that text messages can be read on other computers that do not have the Nokia PC Suite installed, there is a application available named ABC Amber Nokia Converter. It can convert into a variety of other text-based formats: pdf, rtf, doc, html, eml… You can even combine several text messages for example from one person in one common file.
With the installed MS Trial-to-spech engine on PC you can export messages in wav or mp3, so you can listen to this messages.
Download freeware ABC Amber Nokia converter